COMM Options History — September 2017

In September 2017, COMM traded between $32.40 and $34.31. ATM implied volatility averaged 23.3%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.1% (HV 20d: 19.2%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-09-12: Highest Volume — 2,282 contracts
  • 2017-09-05: Largest IV spike — 27.1% change
  • 2017-09-05: Highest IV Rank — 18.3%
  • 2017-09-05: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.18$32.40$34.31$32.98$33.23
Max Pain$33.10$33.00$34.00$33.00$33.00
ATM IV23.3%21.4%27.7%21.8%22.2%
Expected Move6.6%6.1%7.4%6.2%6.4%
HV 20d19.2%12.6%26.6%13.1%26.6%
HV 60d30.4%29.2%31.8%29.4%31.8%
IV Rank10.1%5.5%18.3%6.6%8.0%
IV Percentile23.8%6.7%45.2%11.9%20.2%
Term Structure7.3%2.0%9.7%2.0%8.3%
VWIV22.7%19.2%25.5%19.2%22.4%
Skew 25d2.5%1.3%3.4%2.5%1.8%
Skew 10d7.0%-5.2%13.8%12.4%6.9%
Call IV 25d21.8%20.0%23.7%21.0%20.6%
Put IV 25d24.3%22.3%26.7%23.6%22.5%
Bid-Ask Spread %54.7719.8682.0369.5781.67
Gamma HHI0.270.230.370.250.27
Net GEX376.8K166.5K553.1K196.9K553.1K
Net DEX-4.5M-8.5M-1.5M-2.1M-6.2M
Net VEX-29.8K-38.4K-19.3K-20.7K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.421.281.101.25
Total Volume1,300.656172,2826171,642
Total OI6,1243,8018,2073,8018,207

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$32.98$33.0021.8%6.2%13.1%6.6%19.2%2.5%2.0%196.9K-2.1M-20.7K1.1069.57N/AN/A2943232,913888
2017-09-05$32.40$33.0027.7%7.4%14.4%18.3%25.0%3.0%5.6%166.5K-1.5M-19.3K1.0151.62N/AN/A3123142,910914
2017-09-06$32.72$33.0025.0%7.1%13.6%15.9%24.6%3.4%5.2%186.4K-1.8M-19.9K1.0449.53N/AN/A3053182,923917
2017-09-07$33.02$33.0025.6%6.9%13.9%13.4%24.0%2.9%5.9%198.1K-2.1M-20.0K1.0546.32N/AN/A3033182,919920
2017-09-08$33.06$33.0024.6%6.7%12.6%11.6%24.0%2.5%6.7%205.4K-2.1M-19.9K1.0548.92N/AN/A3103252,919920
2017-09-11$33.87$33.0024.2%6.9%14.8%14.0%25.5%2.9%6.0%239.3K-3.1M-20.5K1.1452.28N/AN/A2943362,925931
2017-09-12$34.03$33.0026.2%6.8%13.7%12.3%24.4%3.3%6.6%243.3K-3.2M-20.5K0.4755.76N/AN/A1,5567262,931955
2017-09-13$33.42$34.0023.8%6.8%15.4%12.7%22.4%2.4%6.3%346.4K-4.1M-28.0K0.9048.55N/AN/A5765204,2071,238
2017-09-14$33.24$34.0023.3%6.7%15.5%11.2%23.0%2.0%7.0%382.8K-4.2M-29.1K0.4245.37N/AN/A1,2405204,5341,241
2017-09-15$33.55$33.0022.1%6.3%15.8%7.6%20.6%2.8%7.8%429.9K-6.2M-32.3K0.7962.13N/AN/A6114805,2621,241
2017-09-18$34.31$33.0021.4%6.1%17.5%5.5%21.0%3.2%8.7%477.1K-8.5M-34.0K0.5539.72N/AN/A6973865,3431,160
2017-09-19$32.79$33.0022.8%6.5%24.3%9.7%22.8%2.6%8.0%479.9K-5.3M-34.8K1.1759.10N/AN/A8299735,7971,252
2017-09-20$33.14$33.0022.2%6.4%24.3%8.0%22.5%2.5%8.6%483.3K-6.1M-37.8K1.0875.89N/AN/A7978585,9741,833
2017-09-21$33.24$33.0021.9%6.3%24.0%7.1%20.8%1.4%8.5%495.9K-6.4M-38.1K1.0741.94N/AN/A8288886,0291,835
2017-09-22$33.17$33.0022.5%6.4%23.9%8.7%21.7%2.3%8.2%495.6K-6.0M-38.4K1.2660.06N/AN/A7048896,0561,960
2017-09-25$32.66$33.0022.6%6.5%24.5%9.2%23.0%2.9%9.1%459.5K-4.6M-36.3K1.2866.71N/AN/A7049016,0581,960
2017-09-26$32.84$33.0022.2%6.4%24.6%7.9%22.9%1.8%9.1%481.5K-5.0M-36.6K1.2882.03N/AN/A7279296,0581,977
2017-09-27$33.23$33.0021.6%6.2%25.0%6.2%22.3%2.0%9.7%525.6K-6.3M-37.3K1.2538.35N/AN/A7299116,1602,006
2017-09-28$32.62$33.0022.1%6.3%25.9%7.6%22.7%1.3%8.9%489.3K-4.6M-36.0K1.2519.86N/AN/A7299116,1972,010
2017-09-29$33.23$33.0022.2%6.4%26.6%8.0%22.4%1.8%8.3%553.1K-6.2M-36.7K1.2581.67N/AN/A7299136,1972,010